Mortality surface by means of continuous time cohort models

Petar Jevtić; Elisa Luciano; Elena Vigna

doi:10.1016/j.insmatheco.2013.04.005

Mortality surface by means of continuous time cohort models

Petar Jevtić, Elisa Luciano, Elena Vigna

Research output: Contribution to journal › Article › peer-review

24 Scopus citations

Abstract

We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach. The model allows for imperfect correlation of the mortality intensity across generations. It is implemented on UK data for the period 1900-2008. Calibration by means of stochastic search and the Differential Evolution optimization algorithm proves to yield robust and stable parameters. We provide in-sample and out-of-sample, deterministic as well as stochastic forecasts. Calibration confirms that correlation across generations is smaller than one.

Original language	English (US)
Pages (from-to)	122-133
Number of pages	12
Journal	Insurance: Mathematics and Economics
Volume	53
Issue number	1
DOIs	https://doi.org/10.1016/j.insmatheco.2013.04.005
State	Published - Jul 2013
Externally published	Yes

Keywords

Age effect
Cohort effect
Differential Evolution algorithm
Mortality forecasting
Stochastic mortality

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

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10.1016/j.insmatheco.2013.04.005

Cite this

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AU - Luciano, Elisa

AU - Vigna, Elena

PY - 2013/7

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AB - We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach. The model allows for imperfect correlation of the mortality intensity across generations. It is implemented on UK data for the period 1900-2008. Calibration by means of stochastic search and the Differential Evolution optimization algorithm proves to yield robust and stable parameters. We provide in-sample and out-of-sample, deterministic as well as stochastic forecasts. Calibration confirms that correlation across generations is smaller than one.

KW - Age effect

KW - Cohort effect

KW - Differential Evolution algorithm

KW - Mortality forecasting

KW - Stochastic mortality

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Mortality surface by means of continuous time cohort models

Abstract

Keywords

ASJC Scopus subject areas

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